Study on Extreme Risk Measurement Based on SV-GHSKt Model

Résumé fourni par la source

The fitting distribution is very important in the measurement of the financial risk.This paper uses the stochastic volatility model with generalized hyperbola skew student's distribution(SV-GHSKt) to fit the characteristics of financial return series,and the financial return series are transformed into the standard residuals series,then the standard residuals tail distribution is fitted by the POT model,a new financial risk measure model is established——the dynamic VaR model based on SV-GHSKt-POT.The results show,the SV-GHSKt-POT model can effectively identify SSEC Index volatility regime characteristics,and it is more advantageous than the other several models about SSEC Index return risk measure,especially in the high confidence level.